You may use SetFileAttributes function, if you want to set or change file attributes. This example shows, how to set FILE_HIDDEN attribute.

procedure TForm1.Button1Click(Sender: TObject);
begin
with OpenDialog1 do
if Execute then
if SetFileAttributes(PChar(Filename), FILE_ATTRIBUTE_HIDDEN) then
Caption:='attribute was changed'
else
Caption:='attribute was not changed';
end;